Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0060
Annualized Std Dev 0.3969
Annualized Sharpe (Rf=0%) 0.0150

Row

Daily Return Statistics

Close
Observations 3653.0000
NAs 1.0000
Minimum -0.1752
Quartile 1 -0.0100
Median 0.0000
Arithmetic Mean 0.0003
Geometric Mean 0.0000
Quartile 3 0.0105
Maximum 0.3289
SE Mean 0.0004
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0011
Variance 0.0006
Stdev 0.0250
Skewness 0.6918
Kurtosis 16.8363

Downside Risk

Close
Semi Deviation 0.0173
Gain Deviation 0.0202
Loss Deviation 0.0192
Downside Deviation (MAR=210%) 0.0216
Downside Deviation (Rf=0%) 0.0172
Downside Deviation (0%) 0.0172
Maximum Drawdown 0.7169
Historical VaR (95%) -0.0372
Historical ES (95%) -0.0580
Modified VaR (95%) -0.0272
Modified ES (95%) -0.0272
From Trough To Depth Length To Trough Recovery
2000-09-15 2009-03-10 NA -0.7169 3366 761 NA
1999-08-19 2000-01-04 2000-02-08 -0.1979 93 72 21
2000-02-09 2000-02-29 2000-05-01 -0.1458 50 13 37
1999-02-02 1999-02-22 1999-04-09 -0.1196 38 11 27
1999-04-12 1999-04-14 1999-04-26 -0.0753 8 2 6

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 10.8 2.4 2.9 -3.8 1.6 -2.2 NA 0 2.3 0 -4.7 -1.2 7.7
2000 1.2 4.9 0 6.7 2.6 -1 -0.5 2 1 4.3 0 -10.2 10.4
2001 -3.3 1.1 2.3 4.5 4.3 0 2.2 0 -6.8 -2.4 2.4 2.4 6.2
2002 0 2.3 0 -0.4 0 0 0 -8 -8.4 0 0 -5 -18.5
2003 4.8 -2.3 -0.1 0 1.1 1.9 NA NA NA NA NA NA 5.3
2004 NA 8.5 24.4 -4.7 -1.1 0 0 -0.5 8.6 -4 0 -1.1 30.6
2005 2.1 -3 -3.2 3.6 1.8 -1.8 0.1 5.1 1.5 2.5 -2.2 NA 6.2
2006 NA -2.9 0 -3 0 NA NA 0 3.1 0.2 0 NA -2.7
2007 NA NA NA NA NA -12.1 NA NA -0.7 0.5 -1.1 -2.4 -15.3
2008 0.6 -0.9 -0.7 -0.5 0 -1.5 1.5 2.6 1.2 2 -1 -9.9 -7
2009 -5.2 0 2.6 18.5 1.8 -3.5 -3.2 -1 2 -0.9 3.4 -2.4 10.6
2010 -0.2 2 -1.5 -1 0.3 -0.2 -0.5 1 -0.3 0.5 3.3 -1.3 1.9
2011 0.1 0.1 0.7 -0.3 0.7 0.7 3.7 -3.2 1.8 -2.6 3.8 -0.7 4.7
2012 1.6 1.7 1.8 -0.6 -1.8 2.9 -1.1 1.4 1.3 -0.9 0.3 1.4 8.3
2013 0.1 0 0.5 -2.6 -0.7 0.3 2.2 -0.1 0 0.2 -0.2 1 0.6
2014 0.5 0 0.6 1.5 5.2 3.4 1.3 -0.2 1 2.8 0.5 0.7 18.5
2015 -2.1 0.5 -0.8 0.2 0.8 1.4 0 -1.7 -1 0.1 0.3 -4 -6.2
2016 -4.4 1.2 0.9 0.9 1.1 2.2 1.3 0.7 -1.5 -0.5 2.4 -0.8 3.4
2017 1.1 1.2 1 1.6 1 -1.2 3.1 -0.1 0.5 0 -0.4 -0.2 7.8
2018 1.3 -2.1 2.1 -1.9 -0.8 -1.2 1.4 -0.4 -0.5 0 0.2 11.1 9.1
2019 3.9 0 0.7 0.1 -0.4 0.3 -1.3 0 1.1 4.6 0.5 2.8 12.7
2020 -2 -3 -3.8 -1.7 0.3 1.1 -0.3 -0.3 -0.2 -1.4 2.5 0.9 -7.7
2021 1.3 1.9 0.2 NA NA NA NA NA NA NA NA NA 3.5

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart